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Book part
Publication date: 21 November 2014

Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul

This paper is concerned with estimation and inference for difference-in-difference regressions with errors that exhibit high serial dependence, including near unit roots…

Abstract

This paper is concerned with estimation and inference for difference-in-difference regressions with errors that exhibit high serial dependence, including near unit roots, unit roots, and linear trends. We propose a couple of solutions based on a parametric formulation of the error covariance. First stage estimates of autoregressive structures are obtained by using the Han, Phillips, and Sul (2011, 2013) X-differencing transformation. The X-differencing method is simple to implement and is unbiased in large N settings. Compared to similar parametric methods, the approach is computationally simple and requires fewer restrictions on the permissible parameter space of the error process. Simulations suggest that our methods perform well in the finite sample across a wide range of panel dimensions and dependence structures.

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Article
Publication date: 1 March 1983

Leslie T. Oxley

Estimates of the UK demand for money function are obtained utilising the Box‐Cox family of power transformations based on a Bank of England adjusted data set for the…

Abstract

Estimates of the UK demand for money function are obtained utilising the Box‐Cox family of power transformations based on a Bank of England adjusted data set for the period 1963I — 1979IV. The functions are subjected to functional and structural stability testing with careful consideration of the resulting error structure. First‐order autocorrelation problems are encountered in the narrow money series Ml and attempts to consider a more flexible dynamic structure are investigated.

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Journal of Economic Studies, vol. 10 no. 3
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 1 March 1991

David Blake

The different types of estimators of rational expectations modelsare surveyed. A key feature is that the model′s solution has to be takeninto account when it is estimated…

Abstract

The different types of estimators of rational expectations models are surveyed. A key feature is that the model′s solution has to be taken into account when it is estimated. The two ways of doing this, the substitution and errors‐in‐variables methods, give rise to different estimators. In the former case, a generalised least‐squares or maximum‐likelihood type estimator generally gives consistent and efficient estimates. In the latter case, a generalised instrumental variable (GIV) type estimator is needed. Because the substitution method involves more complicated restrictions and because it resolves the solution indeterminacy in a more arbitary fashion, when there are forward‐looking expectations, the errors‐in‐variables solution with the GIV estimator is the recommended combination.

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Journal of Economic Studies, vol. 18 no. 3
Type: Research Article
ISSN: 0144-3585

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Book part
Publication date: 21 August 2019

Hsuan-Yu Liu and Cindy S. H. Wang

This chapter re-examines the Fama–French (FF) five-factor asset pricing model proposed by Fama and French (2015), since this model has a failure to capture the lower…

Abstract

This chapter re-examines the Fama–French (FF) five-factor asset pricing model proposed by Fama and French (2015), since this model has a failure to capture the lower average returns on small stocks and its performance could not fully satisfy the original definitions of those considered factors. From the viewpoint of the econometrics analysis, we consider the inferior performance could be potentially caused by the spurious effect in the five-factor model, which could mislead the statistical inference and yield biased empirical results. We thus employ the CO-AR estimation by Wang and Hafner (2018) to prove the usefulness of the FF five-factor model. Empirical results demonstrate with the CO-AR estimation, the five-factor model indeed properly captures the lower average returns on small stocks and illustrate the sustainability of efficiency of the market, which is in contrast to the findings of Fama and French (2015). However, we propose a new perspective on the seminal five-factor model.

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Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-78973-285-6

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Book part
Publication date: 21 August 2019

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Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-78973-285-6

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Book part
Publication date: 19 December 2012

Badi H. Baltagi, Peter H. Egger and Michaela Kesina

Purpose – This chapter considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure.Methodology/approach – We…

Abstract

Purpose – This chapter considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure.

Methodology/approach – We analyze the small sample properties of a generalized moments estimation approach for that model. This spatial Hausman–Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial fixed effects estimator is known to be consistent, but its disadvantage is that it wipes out the effects of time-invariant variables which are important for most empirical studies.

Findings – Monte Carlo results show that the spatial Hausman–Taylor estimator performs well in small samples.

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Essays in Honor of Jerry Hausman
Type: Book
ISBN: 978-1-78190-308-7

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Book part
Publication date: 19 October 2020

Heng Chen and Matthew Strathearn

This research aims to empirically analyze the spatial bank branch network in Canada. The authors study the market structure (both industrial and geographic concentrations…

Abstract

This research aims to empirically analyze the spatial bank branch network in Canada. The authors study the market structure (both industrial and geographic concentrations) via its own or adjacent postal areas. The empirical framework of this study considers branch density (the ratio of the total number of branches to area size) by employing a spatial two-way fixed effects model. The main finding of this study is that there are no effects associated with market structure, however, there are strong spatial within and nearby effects associated with the socioeconomic variables. In addition, the authors also study the effect of spatial competition from rival banks: they find that large banks and small banks tend to avoid markets dominated by their competitors.

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Book part
Publication date: 12 September 2003

Filippo Carlo Wezel and Alessandro Lomi

Why do nations succeed in particular industries? Why do certain industries prosper in one country, but languish in others? Several recent attempts to address these core…

Abstract

Why do nations succeed in particular industries? Why do certain industries prosper in one country, but languish in others? Several recent attempts to address these core questions in the study of geography and strategy are based on the notion of domestic rivalry as the essence of the persistence of competitive advantage of nations. Starting from the claim that rivalry between countries typically implies competition among organizational populations across national boundaries, in this paper we make a first attempt to develop empirical connections between a central problem in international business and the conceptual and analytical categories of corporate demography. Relying on information on the founding of 719 independent motorcycle producers operating in Belgium, Italy and Japan during the period 1898–1993, we build on recent results in organizational ecology to link a selected number of essential but underspecified aspects in current theories of international business to observable patterns of competition within and among organizational populations. The results of the analysis invite a new interpretation of the evolutionary forces that shape the competitive advantage of nations.

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Geography and Strategy
Type: Book
ISBN: 978-0-76231-034-0

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Book part
Publication date: 25 July 1997

Arnold Zellner

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Applying Maximum Entropy to Econometric Problems
Type: Book
ISBN: 978-0-76230-187-4

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Book part
Publication date: 30 December 2004

Harry H. Kelejian, Ingmar R. Prucha and Yevgeny Yuzefovich

The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first…

Abstract

The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first order autoregressive model with first order autoregressive disturbances. We demonstrate that our estimator is asymptotically efficient within the class of IV estimators, and has a lower computational count than an efficient IV estimator that was introduced by Lee (2003). Second, via Monte Carlo techniques we give small sample results relating to our suggested estimator, the maximum likelihood (ML) estimator, and other IV estimators suggested in the literature. Among other things we find that the ML estimator, both of the asymptotically efficient IV estimators, as well as an IV estimator introduced in Kelejian and Prucha (1998), have quite similar small sample properties. Our results also suggest the use of iterated versions of the IV estimators.

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Spatial and Spatiotemporal Econometrics
Type: Book
ISBN: 978-0-76231-148-4

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